Strategy

Group of classes for defining trading and investment strategies. More...

Namespaces
	tsa::fast
	namespace for native timeseries database.

Classes
class	tsa::in_stream
	Record stream class. Represents a standardised interface to all data sources. Instances rely on delegates to provide access to specific data sources. Delegates must derive from class in_stream_adaptor. More...
class	tsa::instrument
	Class instrument represents a tradeable security such as a stock, option, futures contract, currency, etc. Class instrument combines data-access with functionality for placing orders and managing positions. More...
class	tsa::manual_ohlcv
	Allows users to manually submit record data for the next bar. This is useful for testing new functionality. More...
class	tsa::mem_table
	Class mem_table represents a memory based table. mem_table objects can be used in strategies both for input and output. Note that memory requirements can grow rapidly. By default, the size of mem_table objects is limited to 2 million records. This limit can be reset via the size_limit(size_t) member. More...
class	tsa::metrics
	Strategy performance metrics. More...
struct	tsa::metrics::daily_record
class	tsa::order
	Class order is the library's internal order representation. Users are not intended to interact with this class directly and its member functions are not documented. Use class order_ref to interact with orders. More...
class	tsa::order_ref
	Represents a reference to an internally managed order object. Working with class order directly is not required as class order_ref exposes all necessary functionality for working with trading orders. Class order itself is undocumented. More...
class	tsa::out_stream
	Class out_stream is used to write strategy output to various targets such as files, charts and series_base tables. More...
class	tsa::random_walk_stream
struct	tsa::reject_info
	Structure containing informations about rejects. More...
class	tsa::strategy
	Class strategy represents a trading or investment strategy. More...
class	tsa::time_point_stream
	Parent class to classes generating a strategy scheduling sequences. (see strategy::schedule_with()) More...
class	tsa::time_point_stream__platform
	A platform time point stream. More...
class	tsa::time_point_stream_daily
	Class to dynamically generate daily intervals for strategy scheduling purposes. Instances should be declared as a strategy member and passed to strategy::schedule_with() as part of strategy::on_start(). More...
class	tsa::transaction
	Represents a transaction that occurred on an exchange or as part of a simulation when an order is filled or partially filled. More...

Macros
#define	on_bar_close   on_next
	A macro that makes on_bar_close() a synonym for on_next().

Functions
	tsa::metrics::metrics (void)
	Constructor.
	tsa::metrics::metrics (const metrics &)
	Copy constructor. More...
	tsa::metrics::~metrics (void)
	Destructor.
std::vector< double >	tsa::metrics::_daily_cash_flow_history (void) const
std::vector< double >	tsa::metrics::_daily_equity_history () const
double	tsa::metrics::average_daily_cash_flow (const std::vector< double > &daily_cash_flows) const
double	tsa::metrics::average_trading_days_per_year (void) const
void	tsa::metrics::calculate_equity_metrics (void)
virtual void	tsa::metrics::daily_cash_flow (mem_table &mt) const
	Returns the daily cash flow as a mem_table. Intervals shorter than a day are aggregated into a daily cash flow value. Note such a daily value includes all intervals that 'started' on that date, but which can, for the last interval 'end' on the subsequent bar! More...
std::vector< daily_record >	tsa::metrics::daily_cash_flow_history (void) const
std::vector< daily_record >	tsa::metrics::daily_equity_history (void) const
template<typename T >
T	tsa::metrics::get (perf_metric_type metric_type, trade_grouping trade_aggr_type=all_trades) const
variant	tsa::metrics::get_metric (perf_metric_type metric_type, trade_grouping group=all_trades) const
	Returns a value for a given metric-type and trade-aggregation-type. More...
date_time	tsa::metrics::GetEndDateTime (void) const
	Returns the last strategy timestamp.
bool	tsa::operator!= (const order_ref &lhs, const order_ref &rhs)
	comparison operator
std::ostream &	tsa::operator<< (std::ostream &stream, const transaction &t)
	Writes human readable transaction information to stream. More...
bool	tsa::operator== (const order_ref &lhs, const order_ref &rhs)
	comparison operator
void	tsa::metrics::print_daily_cash_flow (std::ostream &, bool with_date=false) const

Detailed Description

Group of classes for defining trading and investment strategies.

Function Documentation

tsa::metrics::metrics

(

const metrics &

_other

)

Copy constructor.

Parameters

parameter1

The first parameter.

void tsa::metrics::daily_cash_flow ( mem_table &  mt ) const

virtual

Returns the daily cash flow as a mem_table. Intervals shorter than a day are aggregated into a daily cash flow value. Note such a daily value includes all intervals that 'started' on that date, but which can, for the last interval 'end' on the subsequent bar!

Parameters

[in,out]

mt

The mt.

variant tsa::metrics::get_metric	(	perf_metric_type	metric_type,
		trade_grouping	group = all_trades
	)		const

Returns a value for a given metric-type and trade-aggregation-type.

Parameters

metric_type	Type of the metric.
trade_aggr_type	The type of the trade aggregation.

Returns

The metric as a variant object.

std::ostream & tsa::operator<<	(	std::ostream &	stream,
		const transaction &	t
	)

Writes human readable transaction information to stream.

Parameters

[in,out]	stream	Stream reference.
	t	The transaction.

Returns

A stream reference.